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A Panel Data Toolbox for MATLAB

Author

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  • Álvarez, Inmaculada C.
  • Barbero, Javier
  • Zofío, José L.

Abstract

Panel Data Toolbox is a new package for MATLAB that includes functions to estimate the main econometric methods of balanced and unbalanced panel data analysis. The package includes code for the standard fixed, between and random effects estimation methods, as well as for the existing instrumental panels and a wide array of spatial panels. A full set of relevant tests is also included. This paper describes the methodology and implementation of the functions and illustrates their use with well-known examples. We perform numerical checks against other popular commercial and free software to show the validity of the results.

Suggested Citation

  • Álvarez, Inmaculada C. & Barbero, Javier & Zofío, José L., 2017. "A Panel Data Toolbox for MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 76(i06).
    • Handle: RePEc:jss:jstsof:v:076:i06
    DOI: http://hdl.handle.net/10.18637/jss.v076.i06
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    1. Kelejian, Harry H & Prucha, Ingmar R, 1999. "A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 40(2), pages 509-533, May.
    2. Lee, Lung-fei & Yu, Jihai, 2010. "Estimation of spatial autoregressive panel data models with fixed effects," Journal of Econometrics, Elsevier, vol. 154(2), pages 165-185, February.
    3. Baltagi, Badi H. & Liu, Long, 2011. "Instrumental variable estimation of a spatial autoregressive panel model with random effects," Economics Letters, Elsevier, vol. 111(2), pages 135-137, May.
    4. Jan Mutl & Michael Pfaffermayr, 2011. "The Hausman test in a Cliff and Ord panel model," Econometrics Journal, Royal Economic Society, vol. 14, pages 48-76, February.
    5. Kelejian, Harry H & Prucha, Ingmar R, 1998. "A Generalized Spatial Two-Stage Least Squares Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances," The Journal of Real Estate Finance and Economics, Springer, vol. 17(1), pages 99-121, July.
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    7. Jeffrey M Wooldridge, 2010. "Econometric Analysis of Cross Section and Panel Data," MIT Press Books, The MIT Press, edition 2, volume 1, number 0262232588, January.
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    12. Baltagi, Badi H. & Liu, Long, 2009. "A note on the application of EC2SLS and EC3SLS estimators in panel data models," Statistics & Probability Letters, Elsevier, vol. 79(20), pages 2189-2192, October.
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    Citations

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    Cited by:

    1. Álvarez, Inmaculada & Barbero, Javier, 2013. "Knowledge Spillovers in Neoclassical Growth Model: an extension with Public Sector," Working Papers in Economic Theory 2013/07, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    2. Gizem Umut Doğan & Gizem Umut Doğan, Aslıhan Kabadayı, 2015. "Determinants of Internal Migration in Turkey: A Panel Data Analysis Approach," Border Crossing, Transnational Press London, UK, vol. 2015(1502), pages 16-24, May.
    3. Álvarez, Inmaculada C. & Barbero, Javier & Zofío, José L., 2016. "A spatial autoregressive panel model to analyze road network spillovers on production," Transportation Research Part A: Policy and Practice, Elsevier, vol. 93(C), pages 83-92.
    4. Marcos Herrera & Jesus Mur & Manuel Ruiz-Marin, 2017. "A Comparison Study on Criteria to Select the Most Adequate Weighting Matrix," Working Papers 18, Instituto de Estudios Laborales y del Desarrollo Económico (IELDE) - Universidad Nacional de Salta - Facultad de Ciencias Económicas, Jurídicas y Sociales.
    5. repec:seg:012016:v:2:y:2017:i:3:p:123-155 is not listed on IDEAS
    6. Gizem Umut Doğan & Gizem Umut Doğan, Aslıhan Kabadayı, 2015. "Determinants of Internal Migration in Turkey: A Panel Data Analysis Approach," Border Crossing, Transnational Press London, UK, vol. 5(1-2), pages 16-24, May.

    More about this item

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C26 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Instrumental Variables (IV) Estimation

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